Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0437 |
| Annualized Std Dev | 0.2069 |
| Annualized Sharpe (Rf=0%) | 0.2113 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1189 |
| Quartile 1 | -0.0045 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1137 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | -0.3733 |
| Kurtosis | 13.3485 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.6511 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0325 |
| Modified VaR (95%) | -0.0190 |
| Modified ES (95%) | -0.0295 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2013-04-30 | -0.6511 | 1488 | 445 | 1043 |
| 2020-01-17 | 2020-03-23 | 2021-03-15 | -0.4134 | 291 | 45 | 246 |
| 2018-01-29 | 2018-12-24 | 2020-01-14 | -0.2117 | 494 | 229 | 265 |
| 2014-12-30 | 2016-01-20 | 2016-07-08 | -0.1726 | 384 | 266 | 118 |
| 2013-05-22 | 2013-06-24 | 2013-07-15 | -0.0612 | 37 | 23 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.8 | -0.5 | 0.2 | -0.4 | -0.2 | -0.1 | -0.3 | -0.6 |
| 2007 | 0.6 | -0.2 | -0.2 | 0.3 | 0.3 | -0.2 | 1.1 | 0.8 | 1.8 | -2.5 | 1.3 | -0.3 | 2.7 |
| 2008 | 2.4 | -2.8 | 4.3 | 2.6 | -0.5 | 0.6 | -0.3 | -0.8 | 0.8 | 1.6 | -10.1 | 2.4 | -0.5 |
| 2009 | -3.2 | -2.8 | 1.8 | 0.4 | 3.5 | 0.9 | -0.3 | -1.5 | -1.8 | -2.1 | 1.6 | -1.1 | -4.8 |
| 2010 | 0.9 | 1 | 0.7 | -1.1 | -1.6 | -0.3 | 0 | 2.5 | 0.3 | -0.3 | 2.1 | -0.1 | 4.2 |
| 2011 | 1.3 | -1.2 | 0.3 | 0.2 | -1.8 | 1.4 | -0.3 | -0.9 | -1.5 | -2.2 | -0.2 | -0.2 | -5.1 |
| 2012 | 1 | 0.4 | 0.4 | 0.2 | -2 | 2.2 | 0.1 | 0.2 | 0 | 0.8 | 0.3 | 1.6 | 5.3 |
| 2013 | 0.8 | 0.2 | -0.5 | -1 | -1.3 | 0.4 | 1.3 | -0.3 | 0.5 | 0.4 | -0.2 | 0.2 | 0.5 |
| 2014 | -0.2 | 0.5 | 0.2 | -0.1 | 0.3 | 0.2 | -0.1 | 0.4 | -1 | 0.7 | 0 | -1 | -0.1 |
| 2015 | -1.3 | -0.1 | -0.4 | 0.8 | -0.3 | 0.5 | 0 | -2.8 | -0.4 | 0.3 | 0.9 | -0.7 | -3.4 |
| 2016 | 0.6 | 1.4 | 0.2 | -0.5 | 0 | 0.2 | -0.8 | 0 | 0.8 | -1.1 | -0.4 | -0.4 | 0 |
| 2017 | -0.5 | 0.8 | 0 | -0.3 | 1.1 | 0.3 | -0.1 | 0.6 | -0.1 | 0.1 | -0.3 | -0.4 | 1.2 |
| 2018 | -0.4 | -0.7 | 1.2 | -0.5 | 0.4 | 0.1 | -0.9 | -0.2 | 0.5 | 0.9 | 0.6 | 0.5 | 1.6 |
| 2019 | 0 | 0.8 | 1.1 | -0.9 | -1.1 | 0.7 | -0.8 | 0.5 | -1.4 | 1.6 | -0.5 | 0.5 | 0.4 |
| 2020 | -1.5 | -1.7 | -4.8 | -3.8 | 0.6 | 0.1 | -0.5 | 0 | -0.4 | -0.4 | 0.8 | 0.6 | -10.8 |
| 2021 | 0.8 | 1.4 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
